Dear SAS Community,
I am working with a dataset (please see below) and attempting to run a model with one AR and two MA terms. However, I’ve noticed a significant discrepancy between the results generated by PROC ARIMA and PROC AUTOREG. Below are the codes I used:
proc autoreg data=a; model consump = consumplag / method=ml nlag=2; run;
vs
proc arima data=a; identify var=consump; estimate p=1 q=2 method=ml; run;
Any insights into why these two procedures are producing different results would be greatly appreciated. The data are shown below:
yr | consump | consumplag |
1920 | 39.8 | |
1921 | 41.9 | 39.8 |
1922 | 45 | 41.9 |
1923 | 49.2 | 45 |
1924 | 50.6 | 49.2 |
1925 | 52.6 | 50.6 |
1926 | 55.1 | 52.6 |
1927 | 56.2 | 55.1 |
1928 | 57.3 | 56.2 |
1929 | 57.8 | 57.3 |
1930 | 55 | 57.8 |
1931 | 50.9 | 55 |
1932 | 45.6 | 50.9 |
1933 | 46.5 | 45.6 |
1934 | 48.7 | 46.5 |
1935 | 51.3 | 48.7 |
1936 | 57.7 | 51.3 |
1937 | 58.7 | 57.7 |
1938 | 57.5 | 58.7 |
1939 | 61.6 | 57.5 |
1940 | 65 | 61.6 |
1941 | 69.7 | 65 |
Hello @sasalex2024
If you wanted to fit a ARMA(1,2) model, then your PROC ARIMA code is correct. However, PROC AUTOREG does not support MA terms, and you cannot specify ARMA models in PROC AUTOREG. Your PROC AUTOREG is specifying a regression of consump on its own lag, and the error term in this regression follows AR(2) process. Please see the equations for regressions with AR errors specified in PROC AUTOREG:
https://go.documentation.sas.com/doc/en/pgmsascdc/v_055/etsug/etsug_autoreg_gettingstarted01.htm
I hope this helps.
Hello @sasalex2024
If you wanted to fit a ARMA(1,2) model, then your PROC ARIMA code is correct. However, PROC AUTOREG does not support MA terms, and you cannot specify ARMA models in PROC AUTOREG. Your PROC AUTOREG is specifying a regression of consump on its own lag, and the error term in this regression follows AR(2) process. Please see the equations for regressions with AR errors specified in PROC AUTOREG:
https://go.documentation.sas.com/doc/en/pgmsascdc/v_055/etsug/etsug_autoreg_gettingstarted01.htm
I hope this helps.
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